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Testing mean-variance efficiency in CAPM with possibly non-Gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Christine (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947329
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Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947554
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Seasonal Unit Roots in Aggregate U.S. Data
Beaulieu, J. Joseph - 1992
In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...
Persistent link: https://www.econbiz.de/10012474842
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Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
Stock, James H. - 1990
This paper catalogs the business cycle properties of 163 monthly U.S. economic time series over the three decades from 1959 through 1988. Two general sets of summary statistics are reported. The first set measures the comovement of each individual time series with a reference series representing...
Persistent link: https://www.econbiz.de/10012475657
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Bayesian Variable Selection for Nowcasting Economic Time Series
Scott, Steven L. - 2013
We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine...
Persistent link: https://www.econbiz.de/10012459094
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Short run and long run causality in time series : inference
Dufour, Jean-Marie (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001948010
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Firm-Level Investment in France and the United States : An Exploration of What We Have Learned in Twenty Years
Mairesse, Jacques - 1999
Our two related goals in this paper are the following: Firstly and mainly, we want to examine the effects of major changes in modelling strategy and econometric methodology, over the past twenty years, on estimation of firm-level investment equations using panel data. Secondly, we try to assess...
Persistent link: https://www.econbiz.de/10012471345
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Probabilistic Prediction for Binary Treatment Choice : with Focus on Personalized Medicine
Manski, Charles F. - National Bureau of Economic Research - 2021
This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum … in indirect ways, the former applying classical statistical theory and the latter measuring prediction accuracy in test … samples. Neither approach is satisfactory. Statistical decision theory provides a coherent, generally applicable methodology …
Persistent link: https://www.econbiz.de/10012660036
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Top Wealth in America : New Estimates and Implications for Taxing the Rich
Smith, Matthew; Zidar, Owen M.; Zwick, Eric - National Bureau of Economic Research - 2021
This paper uses administrative tax data to estimate top wealth in the United States. We assemble new data that links people to their sources of capital income and develop new methods to estimate the degree of return heterogeneity within asset classes. Disaggregated fixed income data reveal that...
Persistent link: https://www.econbiz.de/10012660052
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Intergenerational Mobility in American History : Accounting for Race and Measurement Error
Ward, Zachary - National Bureau of Economic Research - 2021
A large body of evidence finds that relative mobility in the US has declined over the past 150 years. However, long-run mobility estimates are usually based on white samples and therefore do not account for the limited opportunities available for non-white families. Moreover, historical data...
Persistent link: https://www.econbiz.de/10012629476